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Universally marketable insurance under multivariate mixtures

Recurso electrónico / Electronic resource
MARC record
Tag12Value
LDR  00000cab a2200000 4500
001  MAP20210005527
003  MAP
005  20210223091250.0
008  210218e20210101bel|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20170007395‎$a‎Lo, Ambrose
24510‎$a‎Universally marketable insurance under multivariate mixtures‎$c‎Ambrose Lo, Qihe Tang, Zhaofeng Tang
520  ‎$a‎The study of desirable structural properties that define a marketable insurance contract has been a recurring theme in insurance economic theory and practice. In this article, we develop probabilistic and structural characterizations for insurance indemnities that are universally marketable in the sense that they appeal to all policyholders whose risk preferences respect the convex order. We begin with the univariate case where a given policyholder faces a single risk, then extend our results to the case where multiple risks possessing a certain dependence structure coexist. The non decreasing and 1-Lipschitz condition, in various forms, is shown to be intimately related to the notion of universal marketability. As the highlight of this article, we propose a multivariate mixture model which not only accommodates a host of dependence structures commonly encountered in practice but is also flexible enough to house a rich class of marketable indemnity schedules.
650 4‎$0‎MAPA20080584290‎$a‎Contrato de seguro
650 4‎$0‎MAPA20080602437‎$a‎Matemática del seguro
650 4‎$0‎MAPA20080572396‎$a‎Indemnizaciones
650 4‎$0‎MAPA20080604721‎$a‎Análisis multivariante
7001 ‎$0‎MAPA20080650421‎$a‎Tang, Qihe
7001 ‎$0‎MAPA20210003103‎$a‎Tang, Zhaofeng
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎01/01/2021 Volumen 51 Número 1 - enero 2021 , p. 221-243